R is used extensively in the financial industry; many of my recent clients have been working in or developing products for the financial sector. Some common applications are to use R to analyze market data and evaluate quantitative trading strategies. Custom solutions are almost always the best way to do this, but the
quantstrat package can make it easy to quickly get a high-level understanding of a strategy’s potential. However,
quantstrat is still under development, and this, combined with a lack of documentation and the complex nature of the tasks involved, make it difficult to work with. This article addresses one of the most basic issues with
quantstrat – getting it installed.
quantstrat and it’s required packages currently aren’t available on CRAN – you have to get them from R-forge. As a result, the installation is slightly less straightforward than other packages and provides an opportunity to discuss how to install packages from R-forge and locally from source. Although this article focuses on installing
quantstrat, these instructions will help with any R-package that you need to build from source.
If you’re installing from R-forge, the process is only moderately different than installing from CRAN; simply change the
install.packages command to point to the R-forge repository:
blotter packages are dependencies for
quantstrat, you can download and install all three at once with just the last line.
In some cases, you may need to build the packages yourself. You’ll need to set your system up to compile R source code if it isn’t already. To do so, follow steps 1-3 below. If your system is already set up to compile R source code, you can skip to step 4.
# 1) Install
Rtools package (must be done manually from http://www.murdoch-sutherland.com/Rtools/
# 2) Install LaTex from www.miktex.org/
# 3) Install InnoSetup http://www.jrsoftware.org/
# 4) Download the three package source files available from R-forge http://r-forge.r-project.org/R/?group_id=316
# 5) Install the packages using the commands below (substituting the appropriate version numbers):
install.packages("C:/yourpath/FinancialInstrument_0.9.18.tar.gz", repos = NULL, type="source")
install.packages("C:/yourpath/blotter_0.8.4.tar.gz", repos = NULL, type="source")
install.packages("C:/yourpath/quantstrat_0.6.1.tar.gz", repos = NULL, type="source")
Note that these directions are relevant until the packages are available on CRAN, after which, you’ll be able to download and install them like any other package (I’ll make a note on this post once that happens). Also note that since these packages are under heavy development, you’ll want to update them often.